Algorithmic Trading Model for Exponential Moving Average Crossover Grid Search¶
Task 1. Prepare Environment¶
In [1]:
import os
import sys
import numpy as np
import pandas as pd
import requests
import json
import matplotlib.pyplot as plt
from datetime import datetime, timedelta
In [2]:
stock_symbol = 'GOOGL'
initial_capital = 0
# Specify the parameters for the trading strategy
fast_ma_min = 5
fast_ma_max = 20
slow_ma_min = 10
slow_ma_max = 50
ma_increment = 5
min_ma_gap = 5
model_start_date = datetime(2019, 1, 1)
print("Starting date for the model:", model_start_date)
stock_start_date = model_start_date - timedelta(days=int(slow_ma_max*1.5)) # Need more pricing data to calculate moving averages
model_end_date = datetime.now()
# model_end_date = datetime(2020, 6, 30)
print("Ending date for the model:", model_end_date)
Starting date for the model: 2019-01-01 00:00:00 Ending date for the model: 2020-07-01 22:45:47.954098
In [3]:
# Begin the timer for the script processing
startTimeScript = datetime.now()
# Set up the verbose flag to print detailed messages for debugging (setting True will activate!)
verbose = True
# Set up the sendNotification flag to send progress emails (setting True will send emails!)
notifyStatus = False
# Set up the parent directory location for loading the dotenv files
useColab = False
if useColab:
# Mount Google Drive locally for storing files
from dotenv import load_dotenv
from google.colab import drive
drive.mount('/content/gdrive')
gdrivePrefix = '/content/gdrive/My Drive/Colab_Downloads/'
env_path = '/content/gdrive/My Drive/Colab Notebooks/'
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Set up the dotenv file for retrieving environment variables
useLocalPC = False
if useLocalPC:
from dotenv import load_dotenv
env_path = "/Users/david/PycharmProjects/"
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Configure the plotting style
plt.style.use('seaborn')
# Set Pandas options
pd.set_option("display.max_rows", None)
pd.set_option("display.max_columns", None)
# pd.set_option("display.width", 140)
Task 2. Acquire and Pre-Process Data¶
In [4]:
# Check and see whether the API key is available
quandl_key = os.environ.get('QUANDL_API')
if quandl_key is None: sys.exit("API key for Quandl not available. Script Processing Aborted!!!")
In [5]:
start_date_string = stock_start_date.strftime('%Y-%m-%d')
end_date_string = model_end_date.strftime('%Y-%m-%d')
quandl_url = "https://www.quandl.com/api/v3/datatables/SHARADAR/SEP.json?date.gte=%s&date.lte=%s&ticker=%s&api_key=%s" % (start_date_string, end_date_string, stock_symbol, quandl_key)
In [6]:
response = requests.get(quandl_url)
quandl_dict = json.loads(response.text)
stock_quandl = pd.DataFrame(quandl_dict['datatable']['data'])
print(len(stock_quandl), 'data points retrieved from the API call.')
428 data points retrieved from the API call.
In [7]:
stock_quandl.columns = ['ticker', 'date', 'open', 'high', 'low', 'close', 'volume', 'dividend', 'closeunadj', 'lastupdated']
# stock_quandl.set_index('date', inplace=True)
stock_quandl.index = pd.to_datetime(stock_quandl.date)
stock_quandl = stock_quandl.sort_index(ascending = True)
stock_quandl.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 428 entries, 2018-10-18 to 2020-07-01 Data columns (total 10 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 ticker 428 non-null object 1 date 428 non-null object 2 open 428 non-null float64 3 high 428 non-null float64 4 low 428 non-null float64 5 close 428 non-null float64 6 volume 428 non-null float64 7 dividend 428 non-null float64 8 closeunadj 428 non-null float64 9 lastupdated 428 non-null object dtypes: float64(7), object(3) memory usage: 36.8+ KB
In [8]:
stock_quandl.head()
Out[8]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-10-18 | GOOGL | 2018-10-18 | 1130.00 | 1132.35 | 1086.34 | 1097.91 | 2307596.0 | 0.0 | 1097.91 | 2020-05-01 |
| 2018-10-19 | GOOGL | 2018-10-19 | 1103.71 | 1120.95 | 1097.03 | 1105.18 | 2064289.0 | 0.0 | 1105.18 | 2020-05-01 |
| 2018-10-22 | GOOGL | 2018-10-22 | 1112.51 | 1121.69 | 1100.00 | 1111.37 | 1355842.0 | 0.0 | 1111.37 | 2020-05-01 |
| 2018-10-23 | GOOGL | 2018-10-23 | 1091.29 | 1118.00 | 1079.01 | 1114.91 | 1884255.0 | 0.0 | 1114.91 | 2020-05-01 |
| 2018-10-24 | GOOGL | 2018-10-24 | 1115.00 | 1116.62 | 1055.06 | 1057.12 | 2464295.0 | 0.0 | 1057.12 | 2020-05-01 |
In [9]:
stock_quandl.tail()
Out[9]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2020-06-25 | GOOGL | 2020-06-25 | 1431.22 | 1442.32 | 1419.54 | 1441.10 | 1194083.0 | 0.0 | 1441.10 | 2020-06-25 |
| 2020-06-26 | GOOGL | 2020-06-26 | 1432.63 | 1437.02 | 1355.00 | 1362.54 | 4882014.0 | 0.0 | 1362.54 | 2020-06-26 |
| 2020-06-29 | GOOGL | 2020-06-29 | 1360.34 | 1398.00 | 1351.65 | 1397.17 | 2246904.0 | 0.0 | 1397.17 | 2020-06-30 |
| 2020-06-30 | GOOGL | 2020-06-30 | 1396.88 | 1424.00 | 1386.93 | 1418.05 | 2007224.0 | 0.0 | 1418.05 | 2020-06-30 |
| 2020-07-01 | GOOGL | 2020-07-01 | 1419.17 | 1448.48 | 1414.18 | 1442.00 | 2071186.0 | 0.0 | 1442.00 | 2020-07-01 |
In [10]:
title_string = 'Quandl Historical Stock Information for ' + stock_symbol
stock_quandl['close'].plot(figsize=(16,9), title=title_string)
plt.show()
Task 3. Develop Strategy and Train Model¶
3.a) Set up the Dataframe for the Trading Model¶
In [11]:
# Set up the standard column name for modeling
model_template = stock_quandl.loc[:, ['open','close']]
model_template.rename(columns={'open': 'open_price', 'close': 'close_price'}, inplace=True)
if verbose: model_template.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 428 entries, 2018-10-18 to 2020-07-01 Data columns (total 2 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 open_price 428 non-null float64 1 close_price 428 non-null float64 dtypes: float64(2) memory usage: 10.0 KB
3.b) Set up the Analysis Table with Indicators¶
In [12]:
def trading_ma_crossover(model):
waitfor_first_entry = True
for x in range(len(model)):
if model['ma_change'].iloc[x] > 0:
model['trade_signal'].iloc[x] = 1 # trade_signal = 1 means we should take a long position
else:
model['trade_signal'].iloc[x] = 0 # trade_signal = 0 means we should take a flat position
if x != 0:
model['signal_change'].iloc[x] = model['trade_signal'].iloc[x] - model['trade_signal'].iloc[x-1]
if waitfor_first_entry and (model['signal_change'].iloc[x-1] == 1):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
waitfor_first_entry = False
elif (not waitfor_first_entry) and (model['signal_change'].iloc[x-1] != 0):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
In [13]:
model_collection = {}
serial_number = 1
for slow_ma in range(slow_ma_min, slow_ma_max+1, ma_increment):
for fast_ma in range(fast_ma_min, fast_ma_max+1, ma_increment):
if (slow_ma - fast_ma) < min_ma_gap: break
print('Processing model with slow_ma of', slow_ma, 'and fast_ma of', fast_ma)
model_name = 'EMA_' + str(serial_number).zfill(3) + '_SlowMA_' + str(slow_ma).zfill(2) + '_FastMA_' + str(fast_ma).zfill(2)
serial_number = serial_number + 1
trading_model = model_template.copy()
trading_model['fast_ma'] = trading_model['close_price'].ewm(span=fast_ma).mean()
trading_model['slow_ma'] = trading_model['close_price'].ewm(span=slow_ma).mean()
trading_model['ma_change'] = trading_model['fast_ma'] - trading_model['slow_ma']
trading_model['trade_signal'] = np.zeros(len(trading_model))
trading_model['signal_change'] = np.zeros(len(trading_model))
trading_model['entry_exit'] = np.zeros(len(trading_model))
trading_model = trading_model[model_start_date:model_end_date]
trading_ma_crossover(trading_model)
model_collection[model_name] = trading_model.copy()
print('Model', model_name, 'added to the trading model collection.')
Processing model with slow_ma of 10 and fast_ma of 5 Model EMA_001_SlowMA_10_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 5 Model EMA_002_SlowMA_15_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 10 Model EMA_003_SlowMA_15_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 5 Model EMA_004_SlowMA_20_FastMA_05 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 10 Model EMA_005_SlowMA_20_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 15 Model EMA_006_SlowMA_20_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 5 Model EMA_007_SlowMA_25_FastMA_05 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 10 Model EMA_008_SlowMA_25_FastMA_10 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 15 Model EMA_009_SlowMA_25_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 20 Model EMA_010_SlowMA_25_FastMA_20 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 5 Model EMA_011_SlowMA_30_FastMA_05 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 10 Model EMA_012_SlowMA_30_FastMA_10 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 15 Model EMA_013_SlowMA_30_FastMA_15 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 20 Model EMA_014_SlowMA_30_FastMA_20 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 5 Model EMA_015_SlowMA_35_FastMA_05 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 10 Model EMA_016_SlowMA_35_FastMA_10 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 15 Model EMA_017_SlowMA_35_FastMA_15 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 20 Model EMA_018_SlowMA_35_FastMA_20 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 5 Model EMA_019_SlowMA_40_FastMA_05 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 10 Model EMA_020_SlowMA_40_FastMA_10 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 15 Model EMA_021_SlowMA_40_FastMA_15 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 20 Model EMA_022_SlowMA_40_FastMA_20 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 5 Model EMA_023_SlowMA_45_FastMA_05 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 10 Model EMA_024_SlowMA_45_FastMA_10 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 15 Model EMA_025_SlowMA_45_FastMA_15 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 20 Model EMA_026_SlowMA_45_FastMA_20 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 5 Model EMA_027_SlowMA_50_FastMA_05 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 10 Model EMA_028_SlowMA_50_FastMA_10 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 15 Model EMA_029_SlowMA_50_FastMA_15 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 20 Model EMA_030_SlowMA_50_FastMA_20 added to the trading model collection.
In [14]:
# List the entry/exit points for each model
for key in model_collection:
print('List the signal change and entry/exit points for', key)
if verbose: print(model_collection[key][(model_collection[key].signal_change != 0) | (model_collection[key].entry_exit != 0)])
else: print(model_collection[key][model_collection[key].entry_exit != 0])
print()
List the signal change and entry/exit points for EMA_001_SlowMA_10_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-03 1050.67 1025.47 1038.328799 1038.606313 -0.277514
2019-01-04 1042.56 1078.07 1051.575866 1045.781701 5.794165
2019-01-07 1080.97 1075.92 1059.690577 1051.261500 8.429078
2019-01-29 1081.04 1070.06 1081.554609 1081.978623 -0.424014
2019-01-30 1077.36 1097.99 1087.033073 1084.889785 2.143288
2019-01-31 1112.24 1125.89 1099.985382 1092.344374 7.641007
2019-02-21 1118.78 1104.21 1116.425545 1117.222473 -0.796928
2019-02-22 1109.70 1116.56 1116.470364 1117.102024 -0.631660
2019-02-26 1114.37 1122.01 1118.507939 1118.028297 0.479643
2019-02-27 1114.01 1122.89 1119.968626 1118.912243 1.056383
2019-03-27 1191.92 1178.01 1193.660472 1194.226927 -0.566455
2019-03-28 1175.50 1172.27 1186.530315 1190.234758 -3.704443
2019-04-02 1200.05 1205.54 1194.205279 1192.694244 1.511034
2019-04-03 1212.70 1210.81 1199.740186 1195.988018 3.752168
2019-05-01 1197.50 1173.32 1224.228908 1234.907030 -10.678122
2019-05-02 1172.60 1166.51 1204.989272 1222.471207 -17.481934
2019-06-17 1089.10 1093.89 1086.373968 1085.986037 0.387930
2019-06-18 1111.50 1105.24 1092.662645 1089.486758 3.175887
2019-06-26 1091.00 1080.32 1096.082701 1097.355593 -1.272891
2019-06-27 1086.75 1076.63 1089.598468 1093.587303 -3.988836
2019-07-02 1104.83 1112.60 1098.569916 1096.685157 1.884759
2019-07-03 1118.50 1122.99 1106.709944 1101.467856 5.242088
2019-08-06 1165.52 1171.08 1183.114404 1184.135127 -1.020723
2019-08-07 1157.80 1175.91 1180.712936 1182.639649 -1.926713
2019-08-08 1186.43 1206.19 1189.205291 1186.921531 2.283760
2019-08-09 1199.99 1188.90 1189.103527 1187.281253 1.822274
2019-08-12 1180.00 1174.50 1184.235685 1184.957389 -0.721704
2019-08-13 1174.35 1196.73 1188.400456 1187.097863 1.302593
2019-08-14 1176.07 1164.25 1180.350304 1182.943706 -2.593402
2019-08-15 1168.43 1169.32 1176.673536 1180.466669 -3.793133
2019-08-19 1191.83 1200.44 1185.159349 1183.911241 1.248108
2019-08-20 1195.35 1183.53 1184.616233 1183.841925 0.774308
2019-08-23 1185.17 1153.58 1176.836662 1180.423774 -3.587112
2019-08-26 1159.45 1171.18 1174.951108 1178.743088 -3.791980
2019-08-29 1186.42 1194.24 1180.501810 1179.853592 0.648218
2019-08-30 1200.35 1190.53 1183.844540 1181.794757 2.049783
2019-09-03 1181.85 1169.55 1179.079693 1179.568438 -0.488744
2019-09-04 1179.45 1182.27 1180.143129 1180.059631 0.083498
2019-09-05 1193.66 1212.19 1190.825419 1185.901516 4.923903
2019-10-01 1222.49 1206.00 1221.416013 1224.636539 -3.220525
2019-10-02 1196.50 1177.92 1206.917342 1216.142622 -9.225280
2019-10-14 1213.89 1217.77 1211.151131 1210.073139 1.077992
2019-10-15 1221.50 1242.24 1221.514087 1215.921659 5.592428
2019-11-22 1303.00 1293.67 1302.310599 1302.364315 -0.053716
2019-11-25 1296.26 1305.64 1303.420399 1302.959894 0.460505
2019-11-26 1309.91 1313.00 1306.613600 1304.785368 1.828232
2019-12-02 1302.56 1288.86 1300.952178 1302.680341 -1.728163
2019-12-03 1278.66 1294.74 1298.881452 1301.236642 -2.355191
2019-12-04 1306.10 1318.94 1305.567635 1304.455435 1.112200
2019-12-05 1327.00 1326.96 1312.698423 1308.547174 4.151249
2019-12-31 1335.79 1339.39 1345.964531 1347.015668 -1.051137
2020-01-02 1348.41 1368.68 1353.536354 1350.954637 2.581716
2020-01-03 1348.00 1361.52 1356.197569 1352.875612 3.321957
2020-01-31 1467.86 1432.78 1447.860323 1449.207622 -1.347299
2020-02-03 1461.65 1482.60 1459.440215 1455.278964 4.161252
2020-02-04 1454.49 1445.41 1454.763477 1453.484607 1.278870
2020-02-05 1463.61 1446.05 1451.858985 1452.132860 -0.273875
2020-02-06 1451.98 1475.97 1459.895990 1456.466885 3.429104
2020-02-07 1467.38 1479.11 1466.300660 1460.583815 5.716845
2020-02-24 1423.05 1419.86 1477.063444 1487.234636 -10.171192
2020-02-25 1431.00 1386.32 1446.815629 1468.886520 -22.070891
2020-03-31 1148.73 1161.95 1139.081204 1138.296537 0.784667
2020-04-01 1124.00 1102.10 1126.754136 1131.715349 -4.961212
2020-04-02 1100.00 1117.03 1123.512758 1129.045285 -5.532528
2020-04-06 1133.00 1183.19 1136.557892 1133.483042 3.074850
2020-04-07 1217.01 1182.56 1151.891928 1142.406125 9.485803
2020-06-12 1425.86 1412.92 1426.764783 1428.261595 -1.496811
2020-06-15 1389.49 1420.74 1424.756522 1426.894032 -2.137510
2020-06-16 1449.00 1446.47 1431.994348 1430.453299 1.541049
2020-06-17 1452.94 1452.54 1438.842899 1434.469063 4.373836
2020-06-26 1432.63 1362.54 1415.499219 1425.745870 -10.246651
2020-06-29 1360.34 1397.17 1409.389479 1420.550257 -11.160778
trade_signal signal_change entry_exit
date
2019-01-03 0.0 -1.0 0.0
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-01-29 0.0 -1.0 0.0
2019-01-30 1.0 1.0 -1.0
2019-01-31 1.0 0.0 1.0
2019-02-21 0.0 -1.0 0.0
2019-02-22 0.0 0.0 -1.0
2019-02-26 1.0 1.0 0.0
2019-02-27 1.0 0.0 1.0
2019-03-27 0.0 -1.0 0.0
2019-03-28 0.0 0.0 -1.0
2019-04-02 1.0 1.0 0.0
2019-04-03 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-17 1.0 1.0 0.0
2019-06-18 1.0 0.0 1.0
2019-06-26 0.0 -1.0 0.0
2019-06-27 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-06 0.0 -1.0 0.0
2019-08-07 0.0 0.0 -1.0
2019-08-08 1.0 1.0 0.0
2019-08-09 1.0 0.0 1.0
2019-08-12 0.0 -1.0 0.0
2019-08-13 1.0 1.0 -1.0
2019-08-14 0.0 -1.0 1.0
2019-08-15 0.0 0.0 -1.0
2019-08-19 1.0 1.0 0.0
2019-08-20 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-01 0.0 -1.0 0.0
2019-10-02 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2019-11-22 0.0 -1.0 0.0
2019-11-25 1.0 1.0 -1.0
2019-11-26 1.0 0.0 1.0
2019-12-02 0.0 -1.0 0.0
2019-12-03 0.0 0.0 -1.0
2019-12-04 1.0 1.0 0.0
2019-12-05 1.0 0.0 1.0
2019-12-31 0.0 -1.0 0.0
2020-01-02 1.0 1.0 -1.0
2020-01-03 1.0 0.0 1.0
2020-01-31 0.0 -1.0 0.0
2020-02-03 1.0 1.0 -1.0
2020-02-04 1.0 0.0 1.0
2020-02-05 0.0 -1.0 0.0
2020-02-06 1.0 1.0 -1.0
2020-02-07 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 0.0 -1.0 1.0
2020-04-02 0.0 0.0 -1.0
2020-04-06 1.0 1.0 0.0
2020-04-07 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_002_SlowMA_15_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-03 1050.67 1025.47 1038.328799 1040.994140 -2.665341
2019-01-04 1042.56 1078.07 1051.575866 1045.632538 5.943328
2019-01-07 1080.97 1075.92 1059.690577 1049.421269 10.269308
2019-03-29 1180.18 1176.89 1183.316877 1185.166532 -1.849656
2019-04-01 1187.54 1198.98 1188.537918 1186.893216 1.644702
2019-04-02 1200.05 1205.54 1194.205279 1189.224065 4.981214
2019-05-01 1197.50 1173.32 1224.228908 1233.530859 -9.301950
2019-05-02 1172.60 1166.51 1204.989272 1225.153251 -20.163979
2019-06-19 1107.24 1104.51 1096.611763 1095.571105 1.040658
2019-06-20 1121.70 1113.20 1102.141176 1097.774717 4.366459
2019-06-26 1091.00 1080.32 1096.082701 1098.599874 -2.517173
2019-06-27 1086.75 1076.63 1089.598468 1095.853640 -6.255172
2019-07-02 1104.83 1112.60 1098.569916 1097.151169 1.418747
2019-07-03 1118.50 1122.99 1106.709944 1100.381023 6.328921
2019-08-14 1176.07 1164.25 1180.350304 1180.656270 -0.305965
2019-08-15 1168.43 1169.32 1176.673536 1179.239236 -2.565700
2019-08-19 1191.83 1200.44 1185.159349 1181.886134 3.273216
2019-08-20 1195.35 1183.53 1184.616233 1182.091617 2.524616
2019-08-23 1185.17 1153.58 1176.836662 1180.466962 -3.630301
2019-08-26 1159.45 1171.18 1174.951108 1179.306092 -4.354984
2019-08-29 1186.42 1194.24 1180.501810 1179.752987 0.748822
2019-08-30 1200.35 1190.53 1183.844540 1181.100114 2.744426
2019-09-03 1181.85 1169.55 1179.079693 1179.656350 -0.576657
2019-09-04 1179.45 1182.27 1180.143129 1179.983056 0.160073
2019-09-05 1193.66 1212.19 1190.825419 1184.008924 6.816495
2019-10-01 1222.49 1206.00 1221.416013 1222.797146 -1.381132
2019-10-02 1196.50 1177.92 1206.917342 1217.187503 -10.270160
2019-10-14 1213.89 1217.77 1211.151131 1210.854331 0.296799
2019-10-15 1221.50 1242.24 1221.514087 1214.777540 6.736547
2019-12-03 1278.66 1294.74 1298.881452 1299.845754 -0.964302
2019-12-04 1306.10 1318.94 1305.567635 1302.232534 3.335100
2019-12-05 1327.00 1326.96 1312.698423 1305.323468 7.374955
2020-02-24 1423.05 1419.86 1477.063444 1484.957371 -7.893927
2020-02-25 1431.00 1386.32 1446.815629 1472.627700 -25.812070
2020-04-07 1217.01 1182.56 1151.891928 1149.218975 2.672953
2020-04-08 1203.10 1207.00 1170.261285 1156.441603 13.819683
2020-06-26 1432.63 1362.54 1415.499219 1426.702084 -11.202866
2020-06-29 1360.34 1397.17 1409.389479 1423.010574 -13.621095
trade_signal signal_change entry_exit
date
2019-01-03 0.0 -1.0 0.0
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-03-29 0.0 -1.0 0.0
2019-04-01 1.0 1.0 -1.0
2019-04-02 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-06-26 0.0 -1.0 0.0
2019-06-27 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-14 0.0 -1.0 0.0
2019-08-15 0.0 0.0 -1.0
2019-08-19 1.0 1.0 0.0
2019-08-20 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-01 0.0 -1.0 0.0
2019-10-02 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2019-12-03 0.0 -1.0 0.0
2019-12-04 1.0 1.0 -1.0
2019-12-05 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-04-07 1.0 1.0 0.0
2020-04-08 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_003_SlowMA_15_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1045.781701 1045.632538 0.149163
2019-01-07 1080.97 1075.92 1051.261500 1049.421269 1.840230
2019-05-02 1172.60 1166.51 1222.471207 1225.153251 -2.682045
2019-05-03 1177.41 1189.55 1216.485533 1220.702845 -4.217312
2019-06-21 1109.86 1125.37 1101.367097 1101.224127 0.142970
2019-06-24 1120.00 1116.70 1104.154898 1103.158611 0.996286
2019-06-25 1115.08 1087.58 1101.141280 1101.211285 -0.070005
2019-06-26 1091.00 1080.32 1097.355593 1098.599874 -1.244282
2019-07-03 1118.50 1122.99 1101.467856 1100.381023 1.086833
2019-07-05 1119.37 1132.66 1107.139155 1104.415895 2.723260
2019-08-23 1185.17 1153.58 1180.423774 1180.466962 -0.043188
2019-08-26 1159.45 1171.18 1178.743088 1179.306092 -0.563004
2019-08-29 1186.42 1194.24 1179.853592 1179.752987 0.100605
2019-08-30 1200.35 1190.53 1181.794757 1181.100114 0.694643
2019-09-03 1181.85 1169.55 1179.568438 1179.656350 -0.087912
2019-09-04 1179.45 1182.27 1180.059631 1179.983056 0.076575
2019-09-05 1193.66 1212.19 1185.901516 1184.008924 1.892592
2019-10-02 1196.50 1177.92 1216.142622 1217.187503 -1.044880
2019-10-03 1183.34 1189.43 1211.285782 1213.717815 -2.432033
2019-10-15 1221.50 1242.24 1215.921659 1214.777540 1.144119
2019-10-16 1241.81 1243.00 1220.844994 1218.305348 2.539646
2020-02-25 1431.00 1386.32 1468.886520 1472.627700 -3.741179
2020-02-26 1394.98 1390.47 1454.628971 1462.357987 -7.729016
2020-04-09 1218.18 1206.57 1163.681291 1162.707653 0.973638
2020-04-13 1201.50 1210.41 1172.177420 1168.670446 3.506974
2020-06-26 1432.63 1362.54 1425.745870 1426.702084 -0.956214
2020-06-29 1360.34 1397.17 1420.550257 1423.010574 -2.460316
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-06-25 0.0 -1.0 0.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-09 1.0 1.0 0.0
2020-04-13 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_004_SlowMA_20_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1046.976263 4.599603
2019-01-07 1080.97 1075.92 1059.690577 1049.745260 9.945318
2019-05-01 1197.50 1173.32 1224.228908 1229.390969 -5.162060
2019-05-02 1172.60 1166.51 1204.989272 1223.402296 -18.413024
2019-06-21 1109.86 1125.37 1109.884117 1105.224579 4.659538
2019-06-24 1120.00 1116.70 1112.156078 1106.317476 5.838602
2019-06-25 1115.08 1087.58 1103.964052 1104.532955 -0.568903
2019-06-26 1091.00 1080.32 1096.082701 1102.226959 -6.144258
2019-07-03 1118.50 1122.99 1106.709944 1101.920723 4.789221
2019-07-05 1119.37 1132.66 1115.359963 1104.848274 10.511689
2019-08-23 1185.17 1153.58 1176.836662 1178.531484 -1.694822
2019-08-26 1159.45 1171.18 1174.951108 1177.831342 -2.880235
2019-08-29 1186.42 1194.24 1180.501810 1178.495778 2.006032
2019-08-30 1200.35 1190.53 1183.844540 1179.641894 4.202646
2019-10-02 1196.50 1177.92 1206.917342 1215.534752 -8.617410
2019-10-03 1183.34 1189.43 1201.088228 1213.048585 -11.960357
2019-10-14 1213.89 1217.77 1211.151131 1210.848648 0.302483
2019-10-15 1221.50 1242.24 1221.514087 1213.838301 7.675787
2020-02-24 1423.05 1419.86 1477.063444 1479.200477 -2.137033
2020-02-25 1431.00 1386.32 1446.815629 1470.354717 -23.539088
2020-04-08 1203.10 1207.00 1170.261285 1168.202703 2.058582
2020-04-09 1218.18 1206.57 1182.364190 1171.856732 10.507459
2020-06-26 1432.63 1362.54 1415.499219 1423.512090 -8.012871
2020-06-29 1360.34 1397.17 1409.389479 1421.003319 -11.613840
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-06-25 0.0 -1.0 0.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-04-08 1.0 1.0 0.0
2020-04-09 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_005_SlowMA_20_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1051.261500 1049.745260 1.516240
2019-01-08 1086.00 1085.37 1057.463145 1053.151951 4.311194
2019-05-02 1172.60 1166.51 1222.471207 1223.402296 -0.931089
2019-05-03 1177.41 1189.55 1216.485533 1220.178263 -3.692731
2019-07-05 1119.37 1132.66 1107.139155 1104.848274 2.290881
2019-07-08 1125.87 1116.79 1108.893854 1105.985581 2.908273
2019-08-28 1164.87 1173.75 1176.656612 1176.838491 -0.181879
2019-08-29 1186.42 1194.24 1179.853592 1178.495778 1.357814
2019-08-30 1200.35 1190.53 1181.794757 1179.641894 2.152863
2019-10-03 1183.34 1189.43 1211.285782 1213.048585 -1.762803
2019-10-04 1194.29 1210.96 1211.226549 1212.849672 -1.623123
2019-10-15 1221.50 1242.24 1215.921659 1213.838301 2.083358
2019-10-16 1241.81 1243.00 1220.844994 1216.615605 4.229388
2020-02-25 1431.00 1386.32 1468.886520 1470.354717 -1.468197
2020-02-26 1394.98 1390.47 1454.628971 1462.746649 -8.117678
2020-04-14 1239.97 1265.23 1189.096071 1184.071474 5.024596
2020-04-15 1246.51 1257.30 1201.496785 1191.045619 10.451166
2020-06-29 1360.34 1397.17 1420.550257 1421.003319 -0.453062
2020-06-30 1396.88 1418.05 1420.095665 1420.722051 -0.626386
2020-07-01 1419.17 1442.00 1424.078271 1422.748522 1.329749
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-08-28 0.0 -1.0 0.0
2019-08-29 1.0 1.0 -1.0
2019-08-30 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 0.0 0.0 -1.0
2020-07-01 1.0 1.0 0.0
List the signal change and entry/exit points for EMA_006_SlowMA_20_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1053.917767 1053.151951 0.765816
2019-01-09 1087.99 1081.65 1057.386257 1055.876077 1.510180
2019-05-06 1172.00 1193.46 1217.297489 1217.633664 -0.336175
2019-05-07 1185.81 1178.86 1212.492803 1213.940930 -1.448127
2019-07-09 1110.32 1124.29 1108.253576 1107.728859 0.524717
2019-07-10 1132.32 1140.91 1112.335629 1110.888968 1.446661
2019-10-08 1198.77 1190.13 1209.907364 1210.289550 -0.382186
2019-10-09 1201.33 1202.40 1208.968944 1209.538165 -0.569221
2019-10-14 1213.89 1217.77 1210.854331 1210.848648 0.005683
2019-10-15 1221.50 1242.24 1214.777540 1213.838301 0.939239
2020-02-26 1394.98 1390.47 1462.357987 1462.746649 -0.388662
2020-02-27 1359.14 1314.95 1443.931989 1448.670777 -4.738789
2020-04-16 1267.14 1257.43 1198.700299 1197.367941 1.332357
2020-04-17 1281.70 1279.00 1208.737761 1205.142423 3.595338
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-06 0.0 -1.0 0.0
2019-05-07 0.0 0.0 -1.0
2019-07-09 1.0 1.0 0.0
2019-07-10 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_007_SlowMA_25_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1048.549922 3.025944
2019-01-07 1080.97 1075.92 1059.690577 1050.683625 9.006952
2019-05-01 1197.50 1173.32 1224.228908 1224.328358 -0.099450
2019-05-02 1172.60 1166.51 1204.989272 1219.880694 -14.891422
2019-06-24 1120.00 1116.70 1112.156078 1111.140161 1.015917
2019-06-25 1115.08 1087.58 1103.964052 1109.327839 -5.363787
2019-06-26 1091.00 1080.32 1096.082701 1107.096465 -11.013763
2019-07-03 1118.50 1122.99 1106.709944 1105.073216 1.636728
2019-07-05 1119.37 1132.66 1115.359963 1107.195278 8.164685
2019-08-26 1159.45 1171.18 1174.951108 1175.350570 -0.399462
2019-08-27 1183.00 1170.82 1173.574072 1175.002065 -1.427993
2019-08-29 1186.42 1194.24 1180.501810 1176.393002 4.108808
2019-08-30 1200.35 1190.53 1183.844540 1177.480463 6.364076
2019-10-02 1196.50 1177.92 1206.917342 1212.873522 -5.956180
2019-10-03 1183.34 1189.43 1201.088228 1211.070174 -9.981946
2019-10-14 1213.89 1217.77 1211.151131 1209.965458 1.185673
2019-10-15 1221.50 1242.24 1221.514087 1212.448115 9.065972
2020-02-25 1431.00 1386.32 1446.815629 1465.467016 -18.651387
2020-02-26 1394.98 1390.47 1428.033753 1459.698015 -31.664262
2020-04-13 1201.50 1210.41 1191.712794 1187.138583 4.574211
2020-04-14 1239.97 1265.23 1216.218529 1193.145615 23.072914
2020-06-26 1432.63 1362.54 1415.499219 1417.939242 -2.440024
2020-06-29 1360.34 1397.17 1409.389479 1416.341608 -6.952129
2020-07-01 1419.17 1442.00 1422.184213 1418.436637 3.747576
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 0.0 -1.0 1.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-26 0.0 -1.0 0.0
2019-08-27 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-13 1.0 1.0 0.0
2020-04-14 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
2020-07-01 1.0 1.0 0.0
List the signal change and entry/exit points for EMA_008_SlowMA_25_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1051.261500 1050.683625 0.577874
2019-01-08 1086.00 1085.37 1057.463145 1053.384894 4.078251
2019-05-03 1177.41 1189.55 1216.485533 1217.547517 -1.061984
2019-05-06 1172.00 1193.46 1212.299072 1215.694596 -3.395524
2019-07-08 1125.87 1116.79 1108.893854 1107.933334 0.960520
2019-07-09 1110.32 1124.29 1111.693153 1109.191540 2.501614
2019-10-07 1207.00 1208.25 1210.685358 1210.845415 -0.160057
2019-10-08 1198.77 1190.13 1206.948020 1209.251921 -2.303901
2019-10-14 1213.89 1217.77 1210.073139 1209.965458 0.107680
2019-10-15 1221.50 1242.24 1215.921659 1212.448115 3.473544
2020-02-26 1394.98 1390.47 1454.628971 1459.698015 -5.069044
2020-02-27 1359.14 1314.95 1429.232794 1448.563553 -19.330758
2020-04-15 1246.51 1257.30 1201.496785 1198.080567 3.416218
2020-04-16 1267.14 1257.43 1211.666460 1202.645908 9.020552
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-08 1.0 1.0 0.0
2019-07-09 1.0 0.0 1.0
2019-10-07 0.0 -1.0 0.0
2019-10-08 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-15 1.0 1.0 0.0
2020-04-16 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_009_SlowMA_25_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1053.917767 1053.384894 0.532872
2019-01-09 1087.99 1081.65 1057.386257 1055.583997 1.802260
2019-05-07 1185.81 1178.86 1212.492803 1212.861117 -0.368314
2019-05-08 1177.29 1170.78 1207.278702 1209.624056 -2.345354
2019-07-10 1132.32 1140.91 1112.335629 1111.631422 0.704207
2019-07-11 1146.16 1144.08 1116.303675 1114.127468 2.176207
2020-02-27 1359.14 1314.95 1443.931989 1448.563553 -4.631564
2020-02-28 1274.31 1339.25 1430.846740 1440.154818 -9.308078
2020-04-17 1281.70 1279.00 1208.737761 1208.519300 0.218461
2020-04-20 1269.89 1261.15 1215.289291 1212.567815 2.721476
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_010_SlowMA_25_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1055.876077 1055.583997 0.292080
2019-01-10 1074.94 1078.83 1058.069469 1057.391010 0.678459
2019-05-09 1162.60 1167.97 1205.843656 1206.419851 -0.576195
2019-05-10 1168.84 1167.64 1202.205210 1203.436745 -1.231535
2019-07-12 1142.93 1145.34 1117.030017 1116.528433 0.501584
2019-07-15 1145.34 1150.51 1120.218587 1119.142401 1.076186
2020-02-28 1274.31 1339.25 1438.249751 1440.154818 -1.905067
2020-03-02 1351.39 1386.32 1433.304060 1436.013678 -2.709617
2020-04-23 1265.74 1271.17 1220.518389 1220.304012 0.214377
2020-04-24 1255.00 1276.60 1225.859495 1224.634473 1.225022
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-23 1.0 1.0 0.0
2020-04-24 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_011_SlowMA_30_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1050.005256 1.570610
2019-01-07 1080.97 1075.92 1059.690577 1051.724077 7.966500
2019-05-02 1172.60 1166.51 1204.989272 1215.542393 -10.553121
2019-05-03 1177.41 1189.55 1199.842848 1213.865258 -14.022410
2019-07-05 1119.37 1132.66 1115.359963 1110.463799 4.896163
2019-07-08 1125.87 1116.79 1115.836642 1110.871944 4.964698
2019-10-02 1196.50 1177.92 1206.917342 1209.822724 -2.905381
2019-10-03 1183.34 1189.43 1201.088228 1208.507064 -7.418836
2019-10-11 1224.03 1215.71 1207.841696 1207.815131 0.026566
2019-10-14 1213.89 1217.77 1211.151131 1208.457380 2.693751
2020-02-25 1431.00 1386.32 1446.815629 1459.322958 -12.507329
2020-02-26 1394.98 1390.47 1428.033753 1454.880832 -26.847079
2020-04-14 1239.97 1265.23 1216.218529 1204.336412 11.882117
2020-04-15 1246.51 1257.30 1229.912353 1207.753417 22.158935
2020-06-29 1360.34 1397.17 1409.389479 1410.346880 -0.957401
2020-06-30 1396.88 1418.05 1412.276319 1410.843855 1.432464
2020-07-01 1419.17 1442.00 1422.184213 1412.853929 9.330284
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 1.0 1.0 -1.0
2020-07-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_012_SlowMA_30_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1053.951645 3.511500
2019-01-09 1087.99 1081.65 1061.860813 1055.782353 6.078460
2019-05-06 1172.00 1193.46 1212.299072 1212.548638 -0.249566
2019-05-07 1185.81 1178.86 1206.219241 1210.374944 -4.155703
2019-07-10 1132.32 1140.91 1117.005307 1113.619729 3.385578
2019-07-11 1146.16 1144.08 1121.927979 1115.584919 6.343060
2019-10-08 1198.77 1190.13 1206.948020 1207.444425 -0.496404
2019-10-09 1201.33 1202.40 1206.121108 1207.118978 -0.997870
2019-10-11 1224.03 1215.71 1208.362725 1207.815131 0.547594
2019-10-14 1213.89 1217.77 1210.073139 1208.457380 1.615758
2020-02-26 1394.98 1390.47 1454.628971 1454.880832 -0.251861
2020-02-27 1359.14 1314.95 1429.232794 1445.853036 -16.620242
2020-04-16 1267.14 1257.43 1211.666460 1210.958358 0.708102
2020-04-17 1281.70 1279.00 1223.908922 1215.348141 8.560781
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-06 0.0 -1.0 0.0
2019-05-07 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_013_SlowMA_30_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1055.782353 1.603905
2019-01-10 1074.94 1078.83 1060.068052 1057.303274 2.764778
2019-05-08 1177.29 1170.78 1207.278702 1207.820174 -0.541472
2019-05-09 1162.60 1167.97 1202.365115 1205.248953 -2.883838
2019-07-11 1146.16 1144.08 1116.303675 1115.584919 0.718757
2019-07-12 1142.93 1145.34 1119.933216 1117.504611 2.428605
2020-02-27 1359.14 1314.95 1443.931989 1445.853036 -1.921048
2020-02-28 1274.31 1339.25 1430.846740 1438.975421 -8.128681
2020-04-23 1265.74 1271.17 1226.691224 1223.787632 2.903592
2020-04-24 1255.00 1276.60 1232.929821 1227.194882 5.734940
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-23 1.0 1.0 0.0
2020-04-24 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_014_SlowMA_30_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1055.876077 1055.782353 0.093725
2019-01-10 1074.94 1078.83 1058.069469 1057.303274 0.766195
2019-05-10 1168.84 1167.64 1202.205210 1202.822355 -0.617145
2019-05-13 1145.24 1136.59 1195.956138 1198.548947 -2.592810
2019-07-15 1145.34 1150.51 1120.218587 1119.634001 0.584586
2019-07-16 1146.73 1153.46 1123.384436 1121.816333 1.568103
2020-02-28 1274.31 1339.25 1438.249751 1438.975421 -0.725670
2020-03-02 1351.39 1386.32 1433.304060 1435.578297 -2.274237
2020-04-27 1292.00 1270.86 1230.145257 1230.011986 0.133271
2020-04-28 1283.20 1232.59 1230.378090 1230.178310 0.199781
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-07-15 1.0 1.0 0.0
2019-07-16 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-27 1.0 1.0 0.0
2020-04-28 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_015_SlowMA_35_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1051.266297 0.309569
2019-01-07 1080.97 1075.92 1059.690577 1052.701476 6.989101
2019-05-02 1172.60 1166.51 1204.989272 1210.852394 -5.863121
2019-05-03 1177.41 1189.55 1199.842848 1209.668400 -9.825552
2019-07-05 1119.37 1132.66 1115.359963 1113.994334 1.365629
2019-07-08 1125.87 1116.79 1115.836642 1114.149654 1.686988
2019-10-03 1183.34 1189.43 1201.088228 1205.720051 -4.631823
2019-10-04 1194.29 1210.96 1204.378819 1206.011160 -1.632341
2019-10-11 1224.03 1215.71 1207.841696 1205.908221 1.933476
2019-10-14 1213.89 1217.77 1211.151131 1206.567209 4.583922
2020-02-25 1431.00 1386.32 1446.815629 1452.577673 -5.762044
2020-02-26 1394.98 1390.47 1428.033753 1449.127247 -21.093494
2020-04-14 1239.97 1265.23 1216.218529 1215.737194 0.481335
2020-04-15 1246.51 1257.30 1229.912353 1218.046239 11.866113
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_016_SlowMA_35_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1054.598185 2.864960
2019-01-09 1087.99 1081.65 1061.860813 1056.164869 5.695944
2019-05-07 1185.81 1178.86 1206.219241 1207.105363 -0.886122
2019-05-08 1177.29 1170.78 1199.775743 1205.086530 -5.310787
2019-07-10 1132.32 1140.91 1117.005307 1116.168460 0.836847
2019-07-11 1146.16 1144.08 1121.927979 1117.719148 4.208830
2020-02-27 1359.14 1314.95 1429.232794 1441.672955 -12.440161
2020-02-28 1274.31 1339.25 1412.872286 1435.982791 -23.110505
2020-04-17 1281.70 1279.00 1223.908922 1223.498991 0.409931
2020-04-20 1269.89 1261.15 1230.680027 1225.590714 5.089313
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_017_SlowMA_35_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1056.164869 1.221388
2019-01-10 1074.94 1078.83 1060.068052 1057.474414 2.593639
2019-05-09 1162.60 1167.97 1202.365115 1203.023769 -0.658655
2019-05-10 1168.84 1167.64 1198.024475 1201.057346 -3.032871
2019-07-12 1142.93 1145.34 1119.933216 1119.253684 0.679532
2019-07-15 1145.34 1150.51 1123.755314 1120.990193 2.765121
2020-02-28 1274.31 1339.25 1430.846740 1435.982791 -5.136051
2020-03-02 1351.39 1386.32 1425.280898 1433.223747 -7.942849
2020-04-24 1255.00 1276.60 1232.929821 1231.813829 1.115993
2020-04-27 1292.00 1270.86 1237.671094 1233.983060 3.688033
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_018_SlowMA_35_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1058.069469 1057.474414 0.595055
2019-01-11 1069.90 1064.47 1058.680886 1057.877708 0.803178
2019-05-13 1145.24 1136.59 1195.956138 1197.474694 -1.518557
2019-05-14 1142.32 1124.86 1189.185072 1193.439340 -4.254267
2019-07-16 1146.73 1153.46 1123.384436 1122.794117 0.590318
2019-07-17 1150.92 1146.74 1125.608775 1124.124476 1.484299
2020-03-03 1397.68 1337.72 1424.200817 1427.917983 -3.717167
2020-03-04 1358.96 1381.60 1420.143596 1425.344762 -5.201166
2020-04-29 1345.00 1342.18 1241.025891 1239.920909 1.104982
2020-04-30 1331.36 1346.70 1251.090092 1245.853081 5.237011
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-29 1.0 1.0 0.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_019_SlowMA_40_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1059.690577 1053.571229 6.119349
2019-01-08 1086.00 1085.37 1068.250385 1055.228258 13.022127
2019-05-02 1172.60 1166.51 1204.989272 1206.082966 -1.093693
2019-05-03 1177.41 1189.55 1199.842848 1205.275535 -5.432687
2019-07-09 1110.32 1124.29 1118.654428 1117.712131 0.942297
2019-07-10 1132.32 1140.91 1126.072952 1118.843867 7.229085
2019-10-03 1183.34 1189.43 1201.088228 1202.911479 -1.823251
2019-10-04 1194.29 1210.96 1204.378819 1203.304092 1.074727
2019-10-07 1207.00 1208.25 1205.669213 1203.545357 2.123855
2019-10-08 1198.77 1190.13 1200.489475 1202.890946 -2.401471
2019-10-09 1201.33 1202.40 1201.126317 1202.866997 -1.740681
2019-10-10 1198.60 1209.47 1203.907544 1203.189097 0.718448
2019-10-11 1224.03 1215.71 1207.841696 1203.799875 4.041821
2020-02-26 1394.98 1390.47 1428.033753 1442.889722 -14.855970
2020-02-27 1359.14 1314.95 1390.339169 1436.648760 -46.309592
2020-04-15 1246.51 1257.30 1229.912353 1227.942098 1.970255
2020-04-16 1267.14 1257.43 1239.084902 1229.380532 9.704370
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-09 1.0 1.0 0.0
2019-07-10 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 1.0 1.0 -1.0
2019-10-07 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-15 1.0 1.0 0.0
2020-04-16 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_020_SlowMA_40_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1055.228258 2.234887
2019-01-09 1087.99 1081.65 1061.860813 1056.600522 5.260291
2019-05-08 1177.29 1170.78 1199.775743 1201.842157 -2.066415
2019-05-09 1162.60 1167.97 1193.992880 1200.188274 -6.195393
2019-07-11 1146.16 1144.08 1121.927979 1120.075035 1.852944
2019-07-12 1142.93 1145.34 1126.184710 1121.307603 4.877107
2020-02-27 1359.14 1314.95 1429.232794 1436.648760 -7.415966
2020-02-28 1274.31 1339.25 1412.872286 1431.897601 -19.025315
2020-04-23 1265.74 1271.17 1239.912832 1235.321414 4.591418
2020-04-24 1255.00 1276.60 1246.583226 1237.335004 9.248223
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-23 1.0 1.0 0.0
2020-04-24 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_021_SlowMA_40_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1056.600522 0.785735
2019-01-10 1074.94 1078.83 1060.068052 1057.751420 2.316632
2019-05-10 1168.84 1167.64 1198.024475 1198.599106 -0.574631
2019-05-13 1145.24 1136.59 1190.345166 1195.571649 -5.226484
2019-07-15 1145.34 1150.51 1123.755314 1122.732254 1.023060
2019-07-16 1146.73 1153.46 1127.468400 1124.231312 3.237088
2020-02-28 1274.31 1339.25 1430.846740 1431.897601 -1.050861
2020-03-02 1351.39 1386.32 1425.280898 1429.674303 -4.393406
2020-04-29 1345.00 1342.18 1250.178962 1243.708930 6.470032
2020-04-30 1331.36 1346.70 1262.244092 1248.732885 13.511207
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-07-15 1.0 1.0 0.0
2019-07-16 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-29 1.0 1.0 0.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_022_SlowMA_40_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1058.069469 1057.751420 0.318049
2019-01-11 1069.90 1064.47 1058.680886 1058.098227 0.582659
2019-05-14 1142.32 1124.86 1189.185072 1192.119456 -2.934384
2019-05-15 1122.55 1170.80 1187.434112 1191.078667 -3.644555
2019-07-17 1150.92 1146.74 1125.608775 1125.329397 0.279378
2019-07-18 1142.00 1147.24 1127.668892 1126.398300 1.270592
2020-03-03 1397.68 1337.72 1424.200817 1425.188727 -0.987911
2020-03-04 1358.96 1381.60 1420.143596 1423.062448 -2.918852
2020-04-30 1331.36 1346.70 1251.090092 1248.732885 2.357207
2020-05-01 1324.09 1317.32 1257.397702 1252.078598 5.319104
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-17 1.0 1.0 0.0
2019-07-18 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-30 1.0 1.0 0.0
2020-05-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_023_SlowMA_45_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1059.690577 1054.330610 5.359967
2019-01-08 1086.00 1085.37 1068.250385 1055.808325 12.442060
2019-05-03 1177.41 1189.55 1199.842848 1200.886752 -1.043903
2019-05-06 1172.00 1193.46 1197.715232 1200.563083 -2.847851
2019-07-10 1132.32 1140.91 1126.072952 1121.398642 4.674310
2019-07-11 1146.16 1144.08 1132.075301 1122.385090 9.690211
2019-10-08 1198.77 1190.13 1200.489475 1200.518973 -0.029498
2019-10-09 1201.33 1202.40 1201.126317 1200.600758 0.525558
2019-10-10 1198.60 1209.47 1203.907544 1200.986384 2.921160
2020-02-26 1394.98 1390.47 1428.033753 1436.428995 -8.395242
2020-02-27 1359.14 1314.95 1390.339169 1431.147298 -40.808130
2020-04-16 1267.14 1257.43 1239.084902 1237.865940 1.218962
2020-04-17 1281.70 1279.00 1252.389935 1239.654377 12.735557
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 1.0 1.0 -1.0
2019-10-10 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_024_SlowMA_45_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1055.808325 1.654820
2019-01-09 1087.99 1081.65 1061.860813 1057.033529 4.827284
2019-05-09 1162.60 1167.97 1193.992880 1197.036724 -3.043843
2019-05-10 1168.84 1167.64 1189.201447 1195.756066 -6.554618
2019-07-12 1142.93 1145.34 1126.184710 1123.383422 2.801287
2019-07-15 1145.34 1150.51 1130.607490 1124.563170 6.044320
2020-02-27 1359.14 1314.95 1429.232794 1431.147298 -1.914504
2020-02-28 1274.31 1339.25 1412.872286 1427.151762 -14.279476
2020-04-24 1255.00 1276.60 1246.583226 1243.053656 3.529570
2020-04-27 1292.00 1270.86 1250.997185 1244.262628 6.734558
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_025_SlowMA_45_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1057.033529 0.352728
2019-01-10 1074.94 1078.83 1060.068052 1058.062893 2.005159
2019-05-13 1145.24 1136.59 1190.345166 1193.178740 -2.833574
2019-05-14 1142.32 1124.86 1182.159520 1190.202962 -8.043442
2019-07-16 1146.73 1153.46 1127.468400 1125.819891 1.648509
2019-07-17 1150.92 1146.74 1129.877350 1126.729694 3.147656
2020-03-02 1351.39 1386.32 1425.280898 1425.376468 -0.095570
2020-03-03 1397.68 1337.72 1414.335785 1421.565316 -7.229531
2020-04-29 1345.00 1342.18 1250.178962 1248.034465 2.144498
2020-04-30 1331.36 1346.70 1262.244092 1252.324271 9.919821
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-29 1.0 1.0 0.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_026_SlowMA_45_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1058.069469 1058.062893 0.006576
2019-01-11 1069.90 1064.47 1058.680886 1058.364346 0.316540
2019-01-14 1053.34 1051.51 1057.996077 1058.042998 -0.046921
2019-01-15 1058.01 1086.51 1060.718403 1059.373071 1.345332
2019-01-16 1090.00 1089.51 1063.466593 1060.776614 2.689978
2019-05-14 1142.32 1124.86 1189.185072 1190.202962 -1.017889
2019-05-15 1122.55 1170.80 1187.434112 1189.357888 -1.923776
2019-07-18 1142.00 1147.24 1127.668892 1127.621665 0.047226
2019-07-19 1149.32 1131.55 1128.038521 1127.792503 0.246018
2020-03-05 1345.55 1314.76 1410.107063 1415.259532 -5.152469
2020-03-06 1269.95 1295.74 1399.214962 1410.063030 -10.848068
2020-05-01 1324.09 1317.32 1257.397702 1255.150172 2.247530
2020-05-04 1308.13 1322.90 1263.636016 1258.095817 5.540199
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-01-14 0.0 -1.0 0.0
2019-01-15 1.0 1.0 -1.0
2019-01-16 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-18 1.0 1.0 0.0
2019-07-19 1.0 0.0 1.0
2020-03-05 0.0 -1.0 0.0
2020-03-06 0.0 0.0 -1.0
2020-05-01 1.0 1.0 0.0
2020-05-04 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_027_SlowMA_50_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1059.690577 1054.990327 4.700250
2019-01-08 1086.00 1085.37 1068.250385 1056.330093 11.920291
2019-05-07 1185.81 1178.86 1191.430155 1195.807023 -4.376868
2019-05-08 1177.29 1170.78 1184.546770 1194.821627 -10.274857
2019-07-10 1132.32 1140.91 1126.072952 1123.708188 2.364764
2019-07-11 1146.16 1144.08 1132.075301 1124.507633 7.567668
2020-02-26 1394.98 1390.47 1428.033753 1429.902040 -1.868287
2020-02-27 1359.14 1314.95 1390.339169 1425.394112 -35.054943
2020-04-17 1281.70 1279.00 1252.389935 1246.781579 5.608356
2020-04-20 1269.89 1261.15 1255.309956 1247.345046 7.964910
2020-04-21 1242.71 1212.16 1240.926638 1245.965240 -5.038603
2020-04-22 1241.11 1258.41 1246.754425 1246.453270 0.301155
2020-04-23 1265.74 1271.17 1254.892950 1247.422554 7.470396
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
2020-04-21 0.0 -1.0 0.0
2020-04-22 1.0 1.0 -1.0
2020-04-23 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_028_SlowMA_50_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1056.330093 1.133051
2019-01-09 1087.99 1081.65 1061.860813 1057.441292 4.419521
2019-05-10 1168.84 1167.64 1189.201447 1192.736264 -3.534817
2019-05-13 1145.24 1136.59 1179.635730 1190.526605 -10.890876
2019-07-12 1142.93 1145.34 1126.184710 1125.325129 0.859580
2019-07-15 1145.34 1150.51 1130.607490 1126.313400 4.294090
2020-02-28 1274.31 1339.25 1412.872286 1422.015907 -9.143621
2020-03-02 1351.39 1386.32 1408.044598 1420.616066 -12.571468
2020-04-27 1292.00 1270.86 1250.997185 1249.441012 1.556173
2020-04-28 1283.20 1232.59 1247.650424 1248.780188 -1.129764
2020-04-29 1345.00 1342.18 1264.837620 1252.442927 12.394693
2020-04-30 1331.36 1346.70 1279.721689 1256.139283 23.582406
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-27 1.0 1.0 0.0
2020-04-28 0.0 -1.0 1.0
2020-04-29 1.0 1.0 -1.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_029_SlowMA_50_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1060.068052 1058.375601 1.692451
2019-01-11 1069.90 1064.47 1060.618534 1058.640635 1.977899
2019-05-13 1145.24 1136.59 1190.345166 1190.526605 -0.181439
2019-05-14 1142.32 1124.86 1182.159520 1187.942630 -5.783110
2019-07-16 1146.73 1153.46 1127.468400 1127.378623 0.089777
2019-07-17 1150.92 1146.74 1129.877350 1128.138338 1.739012
2020-03-03 1397.68 1337.72 1414.335785 1417.365237 -3.029451
2020-03-04 1358.96 1381.60 1410.243812 1415.962677 -5.718865
2020-04-30 1331.36 1346.70 1262.244092 1256.139283 6.104809
2020-05-01 1324.09 1317.32 1269.128581 1258.538528 10.590053
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-30 1.0 1.0 0.0
2020-05-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_030_SlowMA_50_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-11 1069.90 1064.47 1058.680886 1058.640635 0.040251
2019-01-14 1053.34 1051.51 1057.996077 1058.331856 -0.335779
2019-01-15 1058.01 1086.51 1060.718403 1059.547090 1.171314
2019-01-16 1090.00 1089.51 1063.466593 1060.834260 2.632332
2019-05-16 1171.84 1184.50 1187.154673 1187.159262 -0.004589
2019-05-17 1175.83 1168.78 1185.404703 1186.436319 -1.031617
2019-07-23 1143.45 1148.05 1130.906998 1130.125208 0.781790
2019-07-24 1132.62 1139.73 1131.747284 1130.502047 1.245236
2020-03-05 1345.55 1314.76 1410.107063 1411.993941 -1.886878
2020-03-06 1269.95 1295.74 1399.214962 1407.434958 -8.219997
2020-05-04 1308.13 1322.90 1263.636016 1261.062507 2.573509
2020-05-05 1337.50 1349.02 1271.767824 1264.511821 7.256003
trade_signal signal_change entry_exit
date
2019-01-11 1.0 1.0 0.0
2019-01-14 0.0 -1.0 1.0
2019-01-15 1.0 1.0 -1.0
2019-01-16 1.0 0.0 1.0
2019-05-16 0.0 -1.0 0.0
2019-05-17 0.0 0.0 -1.0
2019-07-23 1.0 1.0 0.0
2019-07-24 1.0 0.0 1.0
2020-03-05 0.0 -1.0 0.0
2020-03-06 0.0 0.0 -1.0
2020-05-04 1.0 1.0 0.0
2020-05-05 1.0 0.0 1.0
In [15]:
if verbose:
for key in model_collection:
graph_data = model_collection[key].copy()
title_string = "Exponential Moving Average Crossover Model for " + key
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 4. Back-test Model¶
In [16]:
def trading_portfolio_generation(initial_fund, trading_model):
# Construct a portfolio to track the transactions and returns
portfolio = pd.DataFrame(index=trading_model.index, columns=['trade_action', 'qty_onhand', 'cost_basis', 'sold_transaction', 'gain_loss', 'cash_onhand', 'position_value', 'total_position', 'accumu_return'])
portfolio.iloc[0]['trade_action'] = 0
portfolio.iloc[0]['qty_onhand'] = 0
portfolio.iloc[0]['cost_basis'] = 0.00
portfolio.iloc[0]['sold_transaction'] = 0.00
portfolio.iloc[0]['gain_loss'] = 0.00
portfolio.iloc[0]['cash_onhand'] = initial_capital
portfolio.iloc[0]['position_value'] = 0.00
portfolio.iloc[0]['total_position'] = initial_capital
portfolio.iloc[0]['accumu_return'] = portfolio.iloc[0]['total_position'] - initial_fund
recent_cost = 0
# The conditional parameters below determine how the trading strategy will be carried out
for i in range(1, len(portfolio)):
if (trading_model.iloc[i]['entry_exit'] == 1) and (portfolio.iloc[i-1]['qty_onhand'] == 0):
portfolio.iloc[i]['trade_action'] = 1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] - portfolio.iloc[i]['cost_basis']
recent_cost = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
if verbose: print('BOUGHT QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
elif (trading_model.iloc[i]['entry_exit'] == -1) and (portfolio.iloc[i-1]['qty_onhand'] > 0):
portfolio.iloc[i]['trade_action'] = -1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = 0.00
portfolio.iloc[i]['sold_transaction'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'] * -1
portfolio.iloc[i]['gain_loss'] = (recent_cost + (trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'])) * -1
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] + portfolio.iloc[i]['sold_transaction']
recent_cost = 0.00
if verbose: print('SOLD QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
else:
portfolio.iloc[i]['trade_action'] = 0
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand']
portfolio.iloc[i]['cost_basis'] = portfolio.iloc[i-1]['cost_basis']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand']
portfolio.iloc[i]['position_value'] = trading_model.iloc[i]['close_price'] * portfolio.iloc[i]['qty_onhand']
portfolio.iloc[i]['total_position'] = portfolio.iloc[i]['cash_onhand'] + portfolio.iloc[i]['position_value']
portfolio.iloc[i]['accumu_return'] = portfolio.iloc[i]['total_position'] - initial_fund
return portfolio
In [17]:
portfolio_collection = {}
# Build dataframe for reporting model performance summary
performance_summary = pd.DataFrame(columns=['model_name','return_value','return_percent'])
for key in model_collection:
print('Processing portfolio for model:', key)
portfolio_collection[key] = trading_portfolio_generation(initial_capital, model_collection[key])
trade_transactions = portfolio_collection[key][portfolio_collection[key].trade_action != 0]
print(trade_transactions)
print('Accumulated profit/loss for one share of stock with initial capital of $%.0f at the end of modeling period: $%.2f' % (initial_capital, portfolio_collection[key].accumu_return[-1]))
if initial_capital != 0:
return_percentage = portfolio_collection[key].accumu_return[-1] / initial_capital * 100
print('Accumulated return percentage based on the initial capital investment: %.2f%%' % (return_percentage))
else:
return_percentage = None
if trade_transactions.iloc[-1]['trade_action'] == 1:
print('The current status of the model is:', 'Holding a position since', trade_transactions.index.tolist()[-1], '\n')
else:
print('The current status of the model is:', 'Waiting to enter since', trade_transactions.index.tolist()[-1], '\n')
performance_summary = performance_summary.append({'model_name': key, 'return_value': portfolio_collection[key].accumu_return[-1],
'return_percent': return_percentage}, ignore_index=True)
Processing portfolio for model: EMA_001_SlowMA_10_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-01-30 00:00:00 at the price of 1077.36
BOUGHT QTY: 1 on 2019-01-31 00:00:00 at the price of 1112.24
SOLD QTY: -1 on 2019-02-22 00:00:00 at the price of 1109.7
BOUGHT QTY: 1 on 2019-02-27 00:00:00 at the price of 1114.01
SOLD QTY: -1 on 2019-03-28 00:00:00 at the price of 1175.5
BOUGHT QTY: 1 on 2019-04-03 00:00:00 at the price of 1212.7
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-18 00:00:00 at the price of 1111.5
SOLD QTY: -1 on 2019-06-27 00:00:00 at the price of 1086.75
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-07 00:00:00 at the price of 1157.8
BOUGHT QTY: 1 on 2019-08-09 00:00:00 at the price of 1199.99
SOLD QTY: -1 on 2019-08-13 00:00:00 at the price of 1174.35
BOUGHT QTY: 1 on 2019-08-14 00:00:00 at the price of 1176.07
SOLD QTY: -1 on 2019-08-15 00:00:00 at the price of 1168.43
BOUGHT QTY: 1 on 2019-08-20 00:00:00 at the price of 1195.35
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-02 00:00:00 at the price of 1196.5
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2019-11-25 00:00:00 at the price of 1296.26
BOUGHT QTY: 1 on 2019-11-26 00:00:00 at the price of 1309.91
SOLD QTY: -1 on 2019-12-03 00:00:00 at the price of 1278.66
BOUGHT QTY: 1 on 2019-12-05 00:00:00 at the price of 1327.0
SOLD QTY: -1 on 2020-01-02 00:00:00 at the price of 1348.41
BOUGHT QTY: 1 on 2020-01-03 00:00:00 at the price of 1348.0
SOLD QTY: -1 on 2020-02-03 00:00:00 at the price of 1461.65
BOUGHT QTY: 1 on 2020-02-04 00:00:00 at the price of 1454.49
SOLD QTY: -1 on 2020-02-06 00:00:00 at the price of 1451.98
BOUGHT QTY: 1 on 2020-02-07 00:00:00 at the price of 1467.38
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 1124.0
SOLD QTY: -1 on 2020-04-02 00:00:00 at the price of 1100.0
BOUGHT QTY: 1 on 2020-04-07 00:00:00 at the price of 1217.01
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 1389.49
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 1452.94
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-01-30 -1 0 0 1077.36 -3.61
2019-01-31 1 1 1112.24 0 0
2019-02-22 -1 0 0 1109.7 -2.54
2019-02-27 1 1 1114.01 0 0
2019-03-28 -1 0 0 1175.5 61.49
2019-04-03 1 1 1212.7 0 0
2019-05-02 -1 0 0 1172.6 -40.1
2019-06-18 1 1 1111.5 0 0
2019-06-27 -1 0 0 1086.75 -24.75
2019-07-03 1 1 1118.5 0 0
2019-08-07 -1 0 0 1157.8 39.3
2019-08-09 1 1 1199.99 0 0
2019-08-13 -1 0 0 1174.35 -25.64
2019-08-14 1 1 1176.07 0 0
2019-08-15 -1 0 0 1168.43 -7.64
2019-08-20 1 1 1195.35 0 0
2019-08-26 -1 0 0 1159.45 -35.9
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-05 1 1 1193.66 0 0
2019-10-02 -1 0 0 1196.5 2.84
2019-10-15 1 1 1221.5 0 0
2019-11-25 -1 0 0 1296.26 74.76
2019-11-26 1 1 1309.91 0 0
2019-12-03 -1 0 0 1278.66 -31.25
2019-12-05 1 1 1327 0 0
2020-01-02 -1 0 0 1348.41 21.41
2020-01-03 1 1 1348 0 0
2020-02-03 -1 0 0 1461.65 113.65
2020-02-04 1 1 1454.49 0 0
2020-02-06 -1 0 0 1451.98 -2.51
2020-02-07 1 1 1467.38 0 0
2020-02-25 -1 0 0 1431 -36.38
2020-04-01 1 1 1124 0 0
2020-04-02 -1 0 0 1100 -24
2020-04-07 1 1 1217.01 0 0
2020-06-15 -1 0 0 1389.49 172.48
2020-06-17 1 1 1452.94 0 0
2020-06-29 -1 0 0 1360.34 -92.6
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-01-30 -3.61 0 -3.61 -3.61
2019-01-31 -1115.85 1125.89 10.04 10.04
2019-02-22 -6.15 0 -6.15 -6.15
2019-02-27 -1120.16 1122.89 2.73 2.73
2019-03-28 55.34 0 55.34 55.34
2019-04-03 -1157.36 1210.81 53.45 53.45
2019-05-02 15.24 0 15.24 15.24
2019-06-18 -1096.26 1105.24 8.98 8.98
2019-06-27 -9.51 0 -9.51 -9.51
2019-07-03 -1128.01 1122.99 -5.02 -5.02
2019-08-07 29.79 0 29.79 29.79
2019-08-09 -1170.2 1188.9 18.7 18.7
2019-08-13 4.15 0 4.15 4.15
2019-08-14 -1171.92 1164.25 -7.67 -7.67
2019-08-15 -3.49 0 -3.49 -3.49
2019-08-20 -1198.84 1183.53 -15.31 -15.31
2019-08-26 -39.39 0 -39.39 -39.39
2019-08-30 -1239.74 1190.53 -49.21 -49.21
2019-09-04 -60.29 0 -60.29 -60.29
2019-09-05 -1253.95 1212.19 -41.76 -41.76
2019-10-02 -57.45 0 -57.45 -57.45
2019-10-15 -1278.95 1242.24 -36.71 -36.71
2019-11-25 17.31 0 17.31 17.31
2019-11-26 -1292.6 1313 20.4 20.4
2019-12-03 -13.94 0 -13.94 -13.94
2019-12-05 -1340.94 1326.96 -13.98 -13.98
2020-01-02 7.47 0 7.47 7.47
2020-01-03 -1340.53 1361.52 20.99 20.99
2020-02-03 121.12 0 121.12 121.12
2020-02-04 -1333.37 1445.41 112.04 112.04
2020-02-06 118.61 0 118.61 118.61
2020-02-07 -1348.77 1479.11 130.34 130.34
2020-02-25 82.23 0 82.23 82.23
2020-04-01 -1041.77 1102.1 60.33 60.33
2020-04-02 58.23 0 58.23 58.23
2020-04-07 -1158.78 1182.56 23.78 23.78
2020-06-15 230.71 0 230.71 230.71
2020-06-17 -1222.23 1452.54 230.31 230.31
2020-06-29 138.11 0 138.11 138.11
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $138.11
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_002_SlowMA_15_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-04-01 00:00:00 at the price of 1187.54
BOUGHT QTY: 1 on 2019-04-02 00:00:00 at the price of 1200.05
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 1121.7
SOLD QTY: -1 on 2019-06-27 00:00:00 at the price of 1086.75
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-15 00:00:00 at the price of 1168.43
BOUGHT QTY: 1 on 2019-08-20 00:00:00 at the price of 1195.35
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-02 00:00:00 at the price of 1196.5
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2019-12-04 00:00:00 at the price of 1306.1
BOUGHT QTY: 1 on 2019-12-05 00:00:00 at the price of 1327.0
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-04-08 00:00:00 at the price of 1203.1
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-04-01 -1 0 0 1187.54 106.57
2019-04-02 1 1 1200.05 0 0
2019-05-02 -1 0 0 1172.6 -27.45
2019-06-20 1 1 1121.7 0 0
2019-06-27 -1 0 0 1086.75 -34.95
2019-07-03 1 1 1118.5 0 0
2019-08-15 -1 0 0 1168.43 49.93
2019-08-20 1 1 1195.35 0 0
2019-08-26 -1 0 0 1159.45 -35.9
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-05 1 1 1193.66 0 0
2019-10-02 -1 0 0 1196.5 2.84
2019-10-15 1 1 1221.5 0 0
2019-12-04 -1 0 0 1306.1 84.6
2019-12-05 1 1 1327 0 0
2020-02-25 -1 0 0 1431 104
2020-04-08 1 1 1203.1 0 0
2020-06-29 -1 0 0 1360.34 157.24
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-04-01 106.57 0 106.57 106.57
2019-04-02 -1093.48 1205.54 112.06 112.06
2019-05-02 79.12 0 79.12 79.12
2019-06-20 -1042.58 1113.2 70.62 70.62
2019-06-27 44.17 0 44.17 44.17
2019-07-03 -1074.33 1122.99 48.66 48.66
2019-08-15 94.1 0 94.1 94.1
2019-08-20 -1101.25 1183.53 82.28 82.28
2019-08-26 58.2 0 58.2 58.2
2019-08-30 -1142.15 1190.53 48.38 48.38
2019-09-04 37.3 0 37.3 37.3
2019-09-05 -1156.36 1212.19 55.83 55.83
2019-10-02 40.14 0 40.14 40.14
2019-10-15 -1181.36 1242.24 60.88 60.88
2019-12-04 124.74 0 124.74 124.74
2019-12-05 -1202.26 1326.96 124.7 124.7
2020-02-25 228.74 0 228.74 228.74
2020-04-08 -974.36 1207 232.64 232.64
2020-06-29 385.98 0 385.98 385.98
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $385.98
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_003_SlowMA_15_FastMA_10
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 1120.0
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-13 00:00:00 at the price of 1201.5
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-06-24 1 1 1120 0 0
2019-06-26 -1 0 0 1091 -29
2019-07-05 1 1 1119.37 0 0
2019-08-26 -1 0 0 1159.45 40.08
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-05 1 1 1193.66 0 0
2019-10-03 -1 0 0 1183.34 -10.32
2019-10-16 1 1 1241.81 0 0
2020-02-26 -1 0 0 1394.98 153.17
2020-04-13 1 1 1201.5 0 0
2020-06-29 -1 0 0 1360.34 158.84
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-06-24 -1023.56 1116.7 93.14 93.14
2019-06-26 67.44 0 67.44 67.44
2019-07-05 -1051.93 1132.66 80.73 80.73
2019-08-26 107.52 0 107.52 107.52
2019-08-30 -1092.83 1190.53 97.7 97.7
2019-09-04 86.62 0 86.62 86.62
2019-09-05 -1107.04 1212.19 105.15 105.15
2019-10-03 76.3 0 76.3 76.3
2019-10-16 -1165.51 1243 77.49 77.49
2020-02-26 229.47 0 229.47 229.47
2020-04-13 -972.03 1210.41 238.38 238.38
2020-06-29 388.31 0 388.31 388.31
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $388.31
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_004_SlowMA_20_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 1120.0
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-04-09 00:00:00 at the price of 1218.18
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-02 -1 0 0 1172.6 91.63
2019-06-24 1 1 1120 0 0
2019-06-26 -1 0 0 1091 -29
2019-07-05 1 1 1119.37 0 0
2019-08-26 -1 0 0 1159.45 40.08
2019-08-30 1 1 1200.35 0 0
2019-10-03 -1 0 0 1183.34 -17.01
2019-10-15 1 1 1221.5 0 0
2020-02-25 -1 0 0 1431 209.5
2020-04-09 1 1 1218.18 0 0
2020-06-29 -1 0 0 1360.34 142.16
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-02 91.63 0 91.63 91.63
2019-06-24 -1028.37 1116.7 88.33 88.33
2019-06-26 62.63 0 62.63 62.63
2019-07-05 -1056.74 1132.66 75.92 75.92
2019-08-26 102.71 0 102.71 102.71
2019-08-30 -1097.64 1190.53 92.89 92.89
2019-10-03 85.7 0 85.7 85.7
2019-10-15 -1135.8 1242.24 106.44 106.44
2020-02-25 295.2 0 295.2 295.2
2020-04-09 -922.98 1206.57 283.59 283.59
2020-06-29 437.36 0 437.36 437.36
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $437.36
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_005_SlowMA_20_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-08-29 00:00:00 at the price of 1186.42
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-03 -1 0 0 1177.41 91.41
2019-07-08 1 1 1125.87 0 0
2019-08-29 -1 0 0 1186.42 60.55
2019-08-30 1 1 1200.35 0 0
2019-10-04 -1 0 0 1194.29 -6.06
2019-10-16 1 1 1241.81 0 0
2020-02-26 -1 0 0 1394.98 153.17
2020-04-15 1 1 1246.51 0 0
2020-06-30 -1 0 0 1396.88 150.37
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-03 91.41 0 91.41 91.41
2019-07-08 -1034.46 1116.79 82.33 82.33
2019-08-29 151.96 0 151.96 151.96
2019-08-30 -1048.39 1190.53 142.14 142.14
2019-10-04 145.9 0 145.9 145.9
2019-10-16 -1095.91 1243 147.09 147.09
2020-02-26 299.07 0 299.07 299.07
2020-04-15 -947.44 1257.3 309.86 309.86
2020-06-30 449.44 0 449.44 449.44
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $449.44
The current status of the model is: Waiting to enter since 2020-06-30 00:00:00
Processing portfolio for model: EMA_006_SlowMA_20_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-07 00:00:00 at the price of 1185.81
BOUGHT QTY: 1 on 2019-07-10 00:00:00 at the price of 1132.32
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-07 -1 0 0 1185.81 97.82
2019-07-10 1 1 1132.32 0 0
2019-10-09 -1 0 0 1201.33 69.01
2019-10-15 1 1 1221.5 0 0
2020-02-27 -1 0 0 1359.14 137.64
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-07 97.82 0 97.82 97.82
2019-07-10 -1034.5 1140.91 106.41 106.41
2019-10-09 166.83 0 166.83 166.83
2019-10-15 -1054.67 1242.24 187.57 187.57
2020-02-27 304.47 0 304.47 304.47
2020-04-17 -977.23 1279 301.77 301.77
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $464.77
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: EMA_007_SlowMA_25_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 1115.08
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-27 00:00:00 at the price of 1183.0
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-14 00:00:00 at the price of 1239.97
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-02 -1 0 0 1172.6 91.63
2019-06-25 1 1 1115.08 0 0
2019-06-26 -1 0 0 1091 -24.08
2019-07-05 1 1 1119.37 0 0
2019-08-27 -1 0 0 1183 63.63
2019-08-30 1 1 1200.35 0 0
2019-10-03 -1 0 0 1183.34 -17.01
2019-10-15 1 1 1221.5 0 0
2020-02-26 -1 0 0 1394.98 173.48
2020-04-14 1 1 1239.97 0 0
2020-06-29 -1 0 0 1360.34 120.37
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-02 91.63 0 91.63 91.63
2019-06-25 -1023.45 1087.58 64.13 64.13
2019-06-26 67.55 0 67.55 67.55
2019-07-05 -1051.82 1132.66 80.84 80.84
2019-08-27 131.18 0 131.18 131.18
2019-08-30 -1069.17 1190.53 121.36 121.36
2019-10-03 114.17 0 114.17 114.17
2019-10-15 -1107.33 1242.24 134.91 134.91
2020-02-26 287.65 0 287.65 287.65
2020-04-14 -952.32 1265.23 312.91 312.91
2020-06-29 408.02 0 408.02 408.02
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $408.02
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_008_SlowMA_25_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-09 00:00:00 at the price of 1110.32
SOLD QTY: -1 on 2019-10-08 00:00:00 at the price of 1198.77
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-16 00:00:00 at the price of 1267.14
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-07-09 1 1 1110.32 0 0
2019-10-08 -1 0 0 1198.77 88.45
2019-10-15 1 1 1221.5 0 0
2020-02-27 -1 0 0 1359.14 137.64
2020-04-16 1 1 1267.14 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-07-09 -1024.32 1124.29 99.97 99.97
2019-10-08 174.45 0 174.45 174.45
2019-10-15 -1047.05 1242.24 195.19 195.19
2020-02-27 312.09 0 312.09 312.09
2020-04-16 -955.05 1257.43 302.38 302.38
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $486.95
The current status of the model is: Holding a position since 2020-04-16 00:00:00
Processing portfolio for model: EMA_009_SlowMA_25_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-08 -1 0 0 1177.29 89.3
2019-07-11 1 1 1146.16 0 0
2020-02-28 -1 0 0 1274.31 128.15
2020-04-20 1 1 1269.89 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-08 89.3 0 89.3 89.3
2019-07-11 -1056.86 1144.08 87.22 87.22
2020-02-28 217.45 0 217.45 217.45
2020-04-20 -1052.44 1261.15 208.71 208.71
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $389.56
The current status of the model is: Holding a position since 2020-04-20 00:00:00
Processing portfolio for model: EMA_010_SlowMA_25_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-24 00:00:00 at the price of 1255.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-15 1 1 1145.34 0 0
2020-03-02 -1 0 0 1351.39 206.05
2020-04-24 1 1 1255 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-15 -1051.44 1150.51 99.07 99.07
2020-03-02 299.95 0 299.95 299.95
2020-04-24 -955.05 1276.6 321.55 321.55
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $486.95
The current status of the model is: Holding a position since 2020-04-24 00:00:00
Processing portfolio for model: EMA_011_SlowMA_30_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 1213.89
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
BOUGHT QTY: 1 on 2020-07-01 00:00:00 at the price of 1419.17
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-07-08 1 1 1125.87 0 0
2019-10-03 -1 0 0 1183.34 57.47
2019-10-14 1 1 1213.89 0 0
2020-02-26 -1 0 0 1394.98 181.09
2020-04-15 1 1 1246.51 0 0
2020-06-30 -1 0 0 1396.88 150.37
2020-07-01 1 1 1419.17 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-07-08 -1029.43 1116.79 87.36 87.36
2019-10-03 153.91 0 153.91 153.91
2019-10-14 -1059.98 1217.77 157.79 157.79
2020-02-26 335 0 335 335
2020-04-15 -911.51 1257.3 345.79 345.79
2020-06-30 485.37 0 485.37 485.37
2020-07-01 -933.8 1442 508.2 508.2
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $508.20
The current status of the model is: Holding a position since 2020-07-01 00:00:00
Processing portfolio for model: EMA_012_SlowMA_30_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-07 00:00:00 at the price of 1185.81
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 1213.89
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-07 -1 0 0 1185.81 97.82
2019-07-11 1 1 1146.16 0 0
2019-10-09 -1 0 0 1201.33 55.17
2019-10-14 1 1 1213.89 0 0
2020-02-27 -1 0 0 1359.14 145.25
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-07 97.82 0 97.82 97.82
2019-07-11 -1048.34 1144.08 95.74 95.74
2019-10-09 152.99 0 152.99 152.99
2019-10-14 -1060.9 1217.77 156.87 156.87
2020-02-27 298.24 0 298.24 298.24
2020-04-17 -983.46 1279 295.54 295.54
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $458.54
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: EMA_013_SlowMA_30_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-24 00:00:00 at the price of 1255.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-09 -1 0 0 1162.6 87.66
2019-07-12 1 1 1142.93 0 0
2020-02-28 -1 0 0 1274.31 131.38
2020-04-24 1 1 1255 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-09 87.66 0 87.66 87.66
2019-07-12 -1055.27 1145.34 90.07 90.07
2020-02-28 219.04 0 219.04 219.04
2020-04-24 -1035.96 1276.6 240.64 240.64
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $406.04
The current status of the model is: Holding a position since 2020-04-24 00:00:00
Processing portfolio for model: EMA_014_SlowMA_30_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-16 00:00:00 at the price of 1146.73
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-28 00:00:00 at the price of 1283.2
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-13 -1 0 0 1145.24 70.3
2019-07-16 1 1 1146.73 0 0
2020-03-02 -1 0 0 1351.39 204.66
2020-04-28 1 1 1283.2 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-13 70.3 0 70.3 70.3
2019-07-16 -1076.43 1153.46 77.03 77.03
2020-03-02 274.96 0 274.96 274.96
2020-04-28 -1008.24 1232.59 224.35 224.35
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $433.76
The current status of the model is: Holding a position since 2020-04-28 00:00:00
Processing portfolio for model: EMA_015_SlowMA_35_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 1213.89
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-07-08 1 1 1125.87 0 0
2019-10-04 -1 0 0 1194.29 68.42
2019-10-14 1 1 1213.89 0 0
2020-02-26 -1 0 0 1394.98 181.09
2020-04-15 1 1 1246.51 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-07-08 -1029.43 1116.79 87.36 87.36
2019-10-04 164.86 0 164.86 164.86
2019-10-14 -1049.03 1217.77 168.74 168.74
2020-02-26 345.95 0 345.95 345.95
2020-04-15 -900.56 1257.3 356.74 356.74
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $541.44
The current status of the model is: Holding a position since 2020-04-15 00:00:00
Processing portfolio for model: EMA_016_SlowMA_35_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-08 -1 0 0 1177.29 89.3
2019-07-11 1 1 1146.16 0 0
2020-02-28 -1 0 0 1274.31 128.15
2020-04-20 1 1 1269.89 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-08 89.3 0 89.3 89.3
2019-07-11 -1056.86 1144.08 87.22 87.22
2020-02-28 217.45 0 217.45 217.45
2020-04-20 -1052.44 1261.15 208.71 208.71
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $389.56
The current status of the model is: Holding a position since 2020-04-20 00:00:00
Processing portfolio for model: EMA_017_SlowMA_35_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-15 1 1 1145.34 0 0
2020-03-02 -1 0 0 1351.39 206.05
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-15 -1051.44 1150.51 99.07 99.07
2020-03-02 299.95 0 299.95 299.95
2020-04-27 -992.05 1270.86 278.81 278.81
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $449.95
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: EMA_018_SlowMA_35_FastMA_20
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-05-14 -1 0 0 1142.32 72.42
2019-07-17 1 1 1150.92 0 0
2020-03-04 -1 0 0 1358.96 208.04
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-05-14 72.42 0 72.42 72.42
2019-07-17 -1078.5 1146.74 68.24 68.24
2020-03-04 280.46 0 280.46 280.46
2020-04-30 -1050.9 1346.7 295.8 295.8
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $391.10
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_019_SlowMA_40_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-10 00:00:00 at the price of 1132.32
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-07 00:00:00 at the price of 1207.0
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 1224.03
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-16 00:00:00 at the price of 1267.14
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-03 -1 0 0 1177.41 91.41
2019-07-10 1 1 1132.32 0 0
2019-10-04 -1 0 0 1194.29 61.97
2019-10-07 1 1 1207 0 0
2019-10-09 -1 0 0 1201.33 -5.67
2019-10-11 1 1 1224.03 0 0
2020-02-27 -1 0 0 1359.14 135.11
2020-04-16 1 1 1267.14 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-03 91.41 0 91.41 91.41
2019-07-10 -1040.91 1140.91 100 100
2019-10-04 153.38 0 153.38 153.38
2019-10-07 -1053.62 1208.25 154.63 154.63
2019-10-09 147.71 0 147.71 147.71
2019-10-11 -1076.32 1215.71 139.39 139.39
2020-02-27 282.82 0 282.82 282.82
2020-04-16 -984.32 1257.43 273.11 273.11
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $457.68
The current status of the model is: Holding a position since 2020-04-16 00:00:00
Processing portfolio for model: EMA_020_SlowMA_40_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-24 00:00:00 at the price of 1255.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-09 -1 0 0 1162.6 74.61
2019-07-12 1 1 1142.93 0 0
2020-02-28 -1 0 0 1274.31 131.38
2020-04-24 1 1 1255 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-09 74.61 0 74.61 74.61
2019-07-12 -1068.32 1145.34 77.02 77.02
2020-02-28 205.99 0 205.99 205.99
2020-04-24 -1049.01 1276.6 227.59 227.59
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $392.99
The current status of the model is: Holding a position since 2020-04-24 00:00:00
Processing portfolio for model: EMA_021_SlowMA_40_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-16 00:00:00 at the price of 1146.73
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-13 -1 0 0 1145.24 70.3
2019-07-16 1 1 1146.73 0 0
2020-03-02 -1 0 0 1351.39 204.66
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-13 70.3 0 70.3 70.3
2019-07-16 -1076.43 1153.46 77.03 77.03
2020-03-02 274.96 0 274.96 274.96
2020-04-30 -1056.4 1346.7 290.3 290.3
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $385.60
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_022_SlowMA_40_FastMA_20
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-18 00:00:00 at the price of 1142.0
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-05-01 00:00:00 at the price of 1324.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-05-15 -1 0 0 1122.55 52.65
2019-07-18 1 1 1142 0 0
2020-03-04 -1 0 0 1358.96 216.96
2020-05-01 1 1 1324.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-05-15 52.65 0 52.65 52.65
2019-07-18 -1089.35 1147.24 57.89 57.89
2020-03-04 269.61 0 269.61 269.61
2020-05-01 -1054.48 1317.32 262.84 262.84
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $387.52
The current status of the model is: Holding a position since 2020-05-01 00:00:00
Processing portfolio for model: EMA_023_SlowMA_45_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-10 00:00:00 at the price of 1198.6
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-07-11 1 1 1146.16 0 0
2019-10-09 -1 0 0 1201.33 55.17
2019-10-10 1 1 1198.6 0 0
2020-02-27 -1 0 0 1359.14 160.54
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-07-11 -1060.16 1144.08 83.92 83.92
2019-10-09 141.17 0 141.17 141.17
2019-10-10 -1057.43 1209.47 152.04 152.04
2020-02-27 301.71 0 301.71 301.71
2020-04-17 -979.99 1279 299.01 299.01
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $462.01
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: EMA_024_SlowMA_45_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-10 -1 0 0 1168.84 80.85
2019-07-15 1 1 1145.34 0 0
2020-02-28 -1 0 0 1274.31 128.97
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-10 80.85 0 80.85 80.85
2019-07-15 -1064.49 1150.51 86.02 86.02
2020-02-28 209.82 0 209.82 209.82
2020-04-27 -1082.18 1270.86 188.68 188.68
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $359.82
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: EMA_025_SlowMA_45_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-14 -1 0 0 1142.32 67.38
2019-07-17 1 1 1150.92 0 0
2020-03-03 -1 0 0 1397.68 246.76
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-14 67.38 0 67.38 67.38
2019-07-17 -1083.54 1146.74 63.2 63.2
2020-03-03 314.14 0 314.14 314.14
2020-04-30 -1017.22 1346.7 329.48 329.48
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $424.78
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_026_SlowMA_45_FastMA_20
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-01-15 00:00:00 at the price of 1058.01
BOUGHT QTY: 1 on 2019-01-16 00:00:00 at the price of 1090.0
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-19 00:00:00 at the price of 1149.32
SOLD QTY: -1 on 2020-03-06 00:00:00 at the price of 1269.95
BOUGHT QTY: 1 on 2020-05-04 00:00:00 at the price of 1308.13
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-01-15 -1 0 0 1058.01 -11.89
2019-01-16 1 1 1090 0 0
2019-05-15 -1 0 0 1122.55 32.55
2019-07-19 1 1 1149.32 0 0
2020-03-06 -1 0 0 1269.95 120.63
2020-05-04 1 1 1308.13 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-01-15 -11.89 0 -11.89 -11.89
2019-01-16 -1101.89 1089.51 -12.38 -12.38
2019-05-15 20.66 0 20.66 20.66
2019-07-19 -1128.66 1131.55 2.89 2.89
2020-03-06 141.29 0 141.29 141.29
2020-05-04 -1166.84 1322.9 156.06 156.06
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $275.16
The current status of the model is: Holding a position since 2020-05-04 00:00:00
Processing portfolio for model: EMA_027_SlowMA_50_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
SOLD QTY: -1 on 2020-04-22 00:00:00 at the price of 1241.11
BOUGHT QTY: 1 on 2020-04-23 00:00:00 at the price of 1265.74
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-08 -1 0 0 1177.29 91.29
2019-07-11 1 1 1146.16 0 0
2020-02-27 -1 0 0 1359.14 212.98
2020-04-20 1 1 1269.89 0 0
2020-04-22 -1 0 0 1241.11 -28.78
2020-04-23 1 1 1265.74 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-08 91.29 0 91.29 91.29
2019-07-11 -1054.87 1144.08 89.21 89.21
2020-02-27 304.27 0 304.27 304.27
2020-04-20 -965.62 1261.15 295.53 295.53
2020-04-22 275.49 0 275.49 275.49
2020-04-23 -990.25 1271.17 280.92 280.92
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $451.75
The current status of the model is: Holding a position since 2020-04-23 00:00:00
Processing portfolio for model: EMA_028_SlowMA_50_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-28 00:00:00 at the price of 1283.2
SOLD QTY: -1 on 2020-04-29 00:00:00 at the price of 1345.0
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-13 -1 0 0 1145.24 57.25
2019-07-15 1 1 1145.34 0 0
2020-03-02 -1 0 0 1351.39 206.05
2020-04-28 1 1 1283.2 0 0
2020-04-29 -1 0 0 1345 61.8
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-13 57.25 0 57.25 57.25
2019-07-15 -1088.09 1150.51 62.42 62.42
2020-03-02 263.3 0 263.3 263.3
2020-04-28 -1019.9 1232.59 212.69 212.69
2020-04-29 325.1 0 325.1 325.1
2020-04-30 -1006.26 1346.7 340.44 340.44
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $435.74
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_029_SlowMA_50_FastMA_15
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-05-01 00:00:00 at the price of 1324.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-05-14 -1 0 0 1142.32 72.42
2019-07-17 1 1 1150.92 0 0
2020-03-04 -1 0 0 1358.96 208.04
2020-05-01 1 1 1324.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-05-14 72.42 0 72.42 72.42
2019-07-17 -1078.5 1146.74 68.24 68.24
2020-03-04 280.46 0 280.46 280.46
2020-05-01 -1043.63 1317.32 273.69 273.69
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $398.37
The current status of the model is: Holding a position since 2020-05-01 00:00:00
Processing portfolio for model: EMA_030_SlowMA_50_FastMA_20
BOUGHT QTY: 1 on 2019-01-14 00:00:00 at the price of 1053.34
SOLD QTY: -1 on 2019-01-15 00:00:00 at the price of 1058.01
BOUGHT QTY: 1 on 2019-01-16 00:00:00 at the price of 1090.0
SOLD QTY: -1 on 2019-05-17 00:00:00 at the price of 1175.83
BOUGHT QTY: 1 on 2019-07-24 00:00:00 at the price of 1132.62
SOLD QTY: -1 on 2020-03-06 00:00:00 at the price of 1269.95
BOUGHT QTY: 1 on 2020-05-05 00:00:00 at the price of 1337.5
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-14 1 1 1053.34 0 0
2019-01-15 -1 0 0 1058.01 4.67
2019-01-16 1 1 1090 0 0
2019-05-17 -1 0 0 1175.83 85.83
2019-07-24 1 1 1132.62 0 0
2020-03-06 -1 0 0 1269.95 137.33
2020-05-05 1 1 1337.5 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-14 -1053.34 1051.51 -1.83 -1.83
2019-01-15 4.67 0 4.67 4.67
2019-01-16 -1085.33 1089.51 4.18 4.18
2019-05-17 90.5 0 90.5 90.5
2019-07-24 -1042.12 1139.73 97.61 97.61
2020-03-06 227.83 0 227.83 227.83
2020-05-05 -1109.67 1349.02 239.35 239.35
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $332.33
The current status of the model is: Holding a position since 2020-05-05 00:00:00
In [18]:
# Display the model performance summary
performance_summary.sort_values(by=['return_value'], inplace=True, ascending=False)
print(performance_summary)
model_name return_value return_percent 14 EMA_015_SlowMA_35_FastMA_05 541.44 None 10 EMA_011_SlowMA_30_FastMA_05 508.20 None 7 EMA_008_SlowMA_25_FastMA_10 486.95 None 9 EMA_010_SlowMA_25_FastMA_20 486.95 None 5 EMA_006_SlowMA_20_FastMA_15 464.77 None 22 EMA_023_SlowMA_45_FastMA_05 462.01 None 11 EMA_012_SlowMA_30_FastMA_10 458.54 None 18 EMA_019_SlowMA_40_FastMA_05 457.68 None 26 EMA_027_SlowMA_50_FastMA_05 451.75 None 16 EMA_017_SlowMA_35_FastMA_15 449.95 None 4 EMA_005_SlowMA_20_FastMA_10 449.44 None 3 EMA_004_SlowMA_20_FastMA_05 437.36 None 27 EMA_028_SlowMA_50_FastMA_10 435.74 None 13 EMA_014_SlowMA_30_FastMA_20 433.76 None 24 EMA_025_SlowMA_45_FastMA_15 424.78 None 6 EMA_007_SlowMA_25_FastMA_05 408.02 None 12 EMA_013_SlowMA_30_FastMA_15 406.04 None 28 EMA_029_SlowMA_50_FastMA_15 398.37 None 19 EMA_020_SlowMA_40_FastMA_10 392.99 None 17 EMA_018_SlowMA_35_FastMA_20 391.10 None 8 EMA_009_SlowMA_25_FastMA_15 389.56 None 15 EMA_016_SlowMA_35_FastMA_10 389.56 None 2 EMA_003_SlowMA_15_FastMA_10 388.31 None 21 EMA_022_SlowMA_40_FastMA_20 387.52 None 1 EMA_002_SlowMA_15_FastMA_05 385.98 None 20 EMA_021_SlowMA_40_FastMA_15 385.60 None 23 EMA_024_SlowMA_45_FastMA_10 359.82 None 29 EMA_030_SlowMA_50_FastMA_20 332.33 None 25 EMA_026_SlowMA_45_FastMA_20 275.16 None 0 EMA_001_SlowMA_10_FastMA_05 138.11 None
In [19]:
# Display the transactions from the top model
top_model = performance_summary.iloc[0]['model_name']
print('The transactions from the top model %s:' % (top_model))
print(portfolio_collection[top_model][portfolio_collection[top_model].trade_action != 0])
The transactions from the top model EMA_015_SlowMA_35_FastMA_05:
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-07-08 1 1 1125.87 0 0
2019-10-04 -1 0 0 1194.29 68.42
2019-10-14 1 1 1213.89 0 0
2020-02-26 -1 0 0 1394.98 181.09
2020-04-15 1 1 1246.51 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-07-08 -1029.43 1116.79 87.36 87.36
2019-10-04 164.86 0 164.86 164.86
2019-10-14 -1049.03 1217.77 168.74 168.74
2020-02-26 345.95 0 345.95 345.95
2020-04-15 -900.56 1257.3 356.74 356.74
In [20]:
# Display the entry and exit signals for the top model
print('The trading signal changes from the top model %s:' % (top_model))
print(model_collection[top_model][model_collection[top_model].signal_change != 0])
The trading signal changes from the top model EMA_015_SlowMA_35_FastMA_05:
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1051.266297 0.309569
2019-05-02 1172.60 1166.51 1204.989272 1210.852394 -5.863121
2019-07-05 1119.37 1132.66 1115.359963 1113.994334 1.365629
2019-10-03 1183.34 1189.43 1201.088228 1205.720051 -4.631823
2019-10-11 1224.03 1215.71 1207.841696 1205.908221 1.933476
2020-02-25 1431.00 1386.32 1446.815629 1452.577673 -5.762044
2020-04-14 1239.97 1265.23 1216.218529 1215.737194 0.481335
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-05-02 0.0 -1.0 0.0
2019-07-05 1.0 1.0 0.0
2019-10-03 0.0 -1.0 0.0
2019-10-11 1.0 1.0 0.0
2020-02-25 0.0 -1.0 0.0
2020-04-14 1.0 1.0 0.0
In [21]:
graph_data = model_collection[top_model].copy()
title_string = "Exponential Moving Average Crossover Model for " + top_model
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 5. Evaluate Performance¶
In [22]:
best_model = ''
best_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] > best_return:
best_model = key
best_return = portfolio_collection[best_model]['accumu_return'][-1]
print('The best model found is:', best_model)
print('The best profit/loss for the investing period is: $%.2f' % (best_return))
if initial_capital != 0:
print('The best return percentage for initial capital is: %.2f%%' % (best_return / initial_capital * 100))
The best model found is: EMA_015_SlowMA_35_FastMA_05 The best profit/loss for the investing period is: $541.44
In [23]:
worst_model = None
worst_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] < worst_return:
worst_model = key
worst_return = portfolio_collection[worst_model]['accumu_return'][-1]
print('The worst model found is:', worst_model)
print('The worst profit/loss for the investing period is: $%.2f' % (worst_return))
if initial_capital != 0:
print('The worst return percentage for the initial capital is: %.2f%%' % (worst_return / initial_capital * 100))
The worst model found is: None The worst profit/loss for the investing period is: $0.00
In [24]:
# Calculate the stock's performance for a long-only model
model_template = model_template[model_start_date:model_end_date]
print('The performance of the long-only model from day one is: $%.2f' %(model_template.iloc[-1]['close_price'] - model_template.iloc[0]['open_price']))
The performance of the long-only model from day one is: $414.80
In [25]:
print ('Total time for the script:',(datetime.now() - startTimeScript))
Total time for the script: 0:01:42.527020